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2021-10-21

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Is A Volatility Storm Coming?<blockquote>波动风暴要来了？</blockquote>

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A higher volatility means that a security’s value can potentially be spread out over a larger range of values. This means that the price of the security can change dramatically over a short time period in either direction.”– Investopedia Federal Reserve Bond Tapering &amp; Interest Rate Hikes Reduce Liquidity<blockquote>“波动性通常是指与证券价值变化大小相关的不确定性或风险的大小。较高的波动性意味着证券的价值可能会分散到更大的价值范围内。这意味着证券的价格可能会在短时间内朝任一方向发生巨大变化。”-投资百科美联储债券缩减和加息减少流动性</blockquote> Federal Reserve liquidity injections have bailed out the economy and equity markets for the last 18 months. And as a result, the bailout created a relatively low volatility environment for equity and bond markets.&nbsp; Will the announced withdrawal of Fed injections of $120B per month set up the monetary system for higher volatility? &nbsp;We see major economic forces combining in the intermediate future to create a possible ‘volatility storm’ driving valuations down.&nbsp;These economic forces include:<blockquote>过去18个月，美联储的流动性注入为经济和股市提供了救助。结果，救助为股票和债券市场创造了一个波动性相对较低的环境。美联储宣布撤回每月1200亿美元的注资是否会让货币体系面临更高的波动性？我们看到主要经济力量将在中期结合起来，可能会造成一场“波动风暴”，导致估值下降。这些经济力量包括：</blockquote> <ul> <li>Fed tapering</li> <li>Interest rate hikes</li> <li>Inflation</li> <li>Labor wage increases.</li> </ul> One of these macro factors is a challenge for monetary policymakers to mitigate damage to the financial system.&nbsp; But, a combination of these factors already building may overwhelm the monetary system. Further, markets are at historic high valuations today. But, market weaknesses and structure, along with valuations may create optimal conditions for a volatility storm.<blockquote><ul><li>美联储缩减规模</li><li>加息</li><li>通货膨胀</li><li>劳动力工资上涨.</li></ul>这些宏观因素之一是货币政策制定者减轻对金融体系损害的挑战。但是，这些因素的结合可能会压垮货币体系。此外，目前市场估值处于历史高位。但是，市场弱点和结构以及估值可能会为波动风暴创造最佳条件。</blockquote> Taper Is Coming<blockquote>Taper来了</blockquote> In September, the minutes of the September Federal Open Market Committee meeting noted that most participants agreed that tapering of treasury and mortgage bond purchases should begin in December, but analysts expect a formal announcement at the November Fed meeting.&nbsp; Accordingly, here is a forecast of how the projected tapering may occur into mid – June 2022.<blockquote>9月，联邦公开市场委员会9月会议纪要指出，大多数与会者同意应在12月开始缩减美国国债和抵押贷款债券购买，但分析师预计将在11月美联储会议上正式宣布。因此，这里对预计的缩减可能如何进行到2022年6月中旬的预测。</blockquote> <img src=\"https://static.tigerbbs.com/b46d7d94707e6fedad83d772a24c0293\" tg-width=\"478\" tg-height=\"294\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Sources: Zero Hedge, Real Investment Advice – 10/15/21<blockquote>资料来源：零对冲，真实投资建议-10/15/21</blockquote> The financial markets enjoyed about $2.16T in liquidity injections resulting in a low volatility monetary environment for the S&amp;P 500 to bull market from a March 2020 low of 2191 to 4471. The impact of tapering is both real and psychological.&nbsp; However, some analysts argue that the real reduction in bond purchases will have a minimal effect on bond markets.&nbsp; Others note that while the actual withdrawal of treasury bond purchases in the $21.9T treasury market is small, the psychological aspects of tapering are significant.&nbsp; Investors will feel the Federal Reserve is not ‘covering their downside risk’ anymore.<blockquote>金融市场获得了约2.16 T美元的流动性注入，为标普500从2020年3月低点2191点至4471点的牛市带来了低波动性的货币环境。缩减购债规模的影响既是真实的，也是心理上的。然而，一些分析师认为，真正缩减购债规模对债券市场的影响微乎其微。另一些分析师指出，虽然21.9美元国债市场实际撤出的国债购买规模很小，但缩减购债规模的心理影响很大。投资者会觉得美联储不再“掩盖他们的下行风险”。</blockquote> Some economists see an increase in volatility due to the end of bond purchases and increasing interest rates. &nbsp;On Fox&nbsp;News, October 17th, Mohammed El-Erian, Chief Economic Advisor at Allianz SE, said he sees increased volatility in the future.<blockquote>一些经济学家认为，由于债券购买结束和利率上升，波动性将会增加。在福克斯新闻频道，10月17日，安联首席经济顾问Mohammed El-Erian说，他认为未来的波动性会增加。</blockquote> “I worry…that this wonderful world we’ve been living in of low volatility, everything going up, may come to a stop with higher volatility. If I were an investor, I would recognize that I’m riding a huge liquidity wave thanks to the Fed, but I would remember that waves tend to break at some point, so I would be very attentive.” Inflation Surges to Decade Highs<blockquote>“我担心……我们生活在这个低波动性、一切都在上涨的美好世界，可能会随着更高的波动性而停止。如果我是一名投资者，我会认识到我正在乘着巨大的流动性浪潮感谢美联储，但我会记住波浪往往会在某个时候破裂，所以我会非常关注.”通胀飙升至十年高点</blockquote> The Consumer Price Index, CPI has moved above 5% on a year-over-year basis and it continues to rise.&nbsp; Housing rent prices are up by 17.9%, according to the Case – Shiller housing September index.&nbsp; Rent increases lead owner equivalent rent housing costs by five months based on a model by Macrobond and Nordea. This means that the 14% jump in existing home prices YoY is likely to extend into next year. &nbsp;&nbsp;Below is a chart of the CPI since 2017 and major components such as housing and gasoline.<blockquote>消费者价格指数CPI同比涨幅超过5%，并且还在继续上涨。根据Case-Shiller住房9月份指数，住房租金价格上涨了17.9%。根据Macrobond和Nordea的模型，租金使主要业主的当量租金住房成本增加了五个月。这意味着现房价格同比上涨14%可能会延续到明年。下面是2017年以来CPI以及住房和汽油等主要组成部分的图表。</blockquote> <img src=\"https://static.tigerbbs.com/42bb01bf2a1f52ca5608cb7d58333091\" tg-width=\"624\" tg-height=\"300\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Sources: Bloomberg, Bureau of Labor Statistics – 10/13/21<blockquote>资料来源：彭博社，劳工统计局-10/13/21</blockquote> The record prices of key commodities continue to drive the price of manufactured goods higher. Oil prices settled at $85 per barrel, a three-year high on October 15th.&nbsp; Aluminum prices have increased by 40% in the last year. &nbsp;The metal price hit a 13 year high on the London Metal Exchange on October 15th&nbsp;as well.&nbsp; Copper prices surged by12% in the last week to the highest price since May 12th with a 74 year low in inventories.&nbsp; Demand for primary metals has soared due to power generation demand and the shift to green power infrastructure systems. If passed, the $1T Bipartisan Infrastructure Bill agreed upon in Congress will likely keep commodities prices high for a couple of years.<blockquote>关键大宗商品创纪录的价格继续推动制成品价格走高。油价10月15日收于每桶85美元，创三年新高。铝价最近一年上涨了40%。10月15日，伦敦金属交易所的金属价格也创下了13年来的新高。铜价上周飙升12%，至5月12日以来的最高价格，库存为74年来的最低水平。由于发电需求和向绿色电力基础设施系统的转变，对初级金属的需求飙升。如果获得通过，国会达成的1T美元两党基础设施法案可能会使大宗商品价格在几年内保持高位。</blockquote> China Boosting Demand<blockquote>中国提振需求</blockquote> Plus, China continues to make considerable investments in manufacturing and power generation projects keeping global demand high for commodities.&nbsp; Container shipping of commodities adds to their price.&nbsp; Container shipping rates from Shanghai to Los Angeles have increased by ten times in the last year. Computer chip shortages continue with the highest delays on record in chip shipments for September and auto manufacturers have reduced production on some models by 10 – 20% reducing car inventories at dealers and supporting high new and used car prices.&nbsp; Mitigating the surge in inflation would be declining consumer sentiment and buying, plus a possible slowdown in the global economy.&nbsp; Yet, wages may continue to climb, causing businesses to respond with price increases.<blockquote>此外，中国继续在制造业和发电项目上进行大量投资，保持了全球对大宗商品的高需求。大宗商品的集装箱运输推高了大宗商品的价格。去年，从上海到洛杉矶的集装箱运费上涨了10倍。计算机芯片短缺仍在继续，9月份芯片出货出现创纪录的最高延迟，汽车制造商将一些车型的产量减少了10-20%，减少了经销商的汽车库存，支撑了新车和二手车的高价格。缓解通胀飙升的将是消费者信心和购买能力下降，加上全球经济可能放缓。然而，工资可能会继续攀升，导致企业以涨价作为回应。</blockquote> Increased Wages Drive Demand Inflation<blockquote>工资上涨推动需求通胀</blockquote> Increases in wages will possibly sustain demand.&nbsp;&nbsp; Weekly earnings have soared to almost 10%.&nbsp; This chart shows weekly earnings back to 1983, the last time earnings increased at this high level.<blockquote>工资上涨可能会维持需求。周收入飙升至近10%。这张图表显示了1983年以来的每周收入，这是上一次收入以如此高的水平增长。</blockquote> <img src=\"https://static.tigerbbs.com/506983ffb8ae5539d73c2b38704eaaac\" tg-width=\"504\" tg-height=\"281\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Source: Bloomberg – 10/12/21<blockquote>资料来源：彭博社–10/12/21</blockquote> Worker earnings increases continue to be driven by a labor shortage. There are 4.3M jobs left to fill since the labor force participation rate high of February 2020. Critical factors in many jobs not being filled include: 3.6M retirees not returning to the labor force, lower-wage hospitality workers into higher-paying warehouse and delivery jobs, and 2.5M workers staying at home to care for Covid-19 relatives.&nbsp; The Wall Street Journal reports on October 14th&nbsp;the labor participation rate is at 61.6% versus 63.3% in February 2020. As a result, the labor force participation rate continues to be below pre-pandemic levels.<blockquote>劳动力短缺继续推动工人收入增长。自2020年2月劳动力参与率达到高点以来，仍有430万个工作岗位需要填补。许多工作岗位没有被填补的关键因素包括：360万退休人员没有重返劳动力市场，工资较低的酒店工人进入工资较高的仓库和送货工作，以及250万工人呆在家里照顾新冠肺炎的亲戚。《华尔街日报》10月14日报道称，劳动参与率为61.6%，而2020年2月为63.3%。因此，劳动力参与率继续低于大流行前的水平。</blockquote> <img src=\"https://static.tigerbbs.com/f16eafc3d71caf12aa588f86a34aa92d\" tg-width=\"1024\" tg-height=\"741\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Sources: Labor Department, The Wall Street Journal – 10/14/21<blockquote>资料来源：劳工部、华尔街日报-10/14/21</blockquote> Labor Shortages Aren’t Helping<blockquote>劳动力短缺无济于事</blockquote> The National Federation of Independent Businesses recently reported that their&nbsp;Hard Jobs to Fill indicator shows that wages are likely to continue to soar. The following chart shows how the labor shortage is fueling a rise in wages.<blockquote>全国独立企业联合会最近报告说，他们的难以填补的工作指标显示工资可能会继续飙升。下图显示了劳动力短缺是如何推动工资上涨的。</blockquote> <img src=\"https://static.tigerbbs.com/f1dc82681ef42b51af8dc4814cb5c16c\" tg-width=\"376\" tg-height=\"393\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Sources: NFIB, The Daily Shot 10/12/21<blockquote>资料来源：NFIB，The Daily Shot 10/12/21</blockquote> In many industries, the labor shortage is forcing employers to hire key employees away from competitors.&nbsp; Accordingly, employers report in tight markets such as software programming offering 20% hire-on bonuses.&nbsp;&nbsp; The restaurant industry’s average wage now stands above $15 per hour to attract workers in this 400% yearly worker churn sector.&nbsp; Further, recruiters report that some workers seeing a tight labor market are evaluating work-life balance choices.&nbsp; Also, drop-out workers in some cases are taking vacations, pursuing hobbies, or just taking a break.&nbsp; Remote work-from-home options will continue to create tighter labor conditions for the foreseeable future.&nbsp; A September Wall Street Journal survey of 52 economists showed that 42% expect the economy to not recover to pre-pandemic workforce levels for years to come.<blockquote>在许多行业，劳动力短缺迫使雇主从竞争对手那里雇佣关键员工。因此，雇主报告说，在软件编程等紧张的市场中，提供20%的雇佣奖金。餐饮业的平均工资现在超过每小时15美元，以吸引这个每年400%员工流失的行业的工人。此外，招聘人员报告说，一些看到劳动力市场紧张的工人正在评估工作与生活的平衡选择。此外，在某些情况下，辍学的工人正在休假，追求爱好，或者只是休息一下。在可预见的未来，远程在家工作的选择将继续造成更紧张的劳动条件。《华尔街日报》9月份对52名经济学家的调查显示，42%的人预计未来几年经济不会恢复到疫情之前的劳动力水平。</blockquote> Next, let’s look at how weaknesses in the market can provide clues on a gathering volatility storm.<blockquote>接下来，让我们看看市场的弱点如何为正在聚集的波动风暴提供线索。</blockquote> Monthly, Weekly Time Frames Show Bearish Market Direction<blockquote>月度、每周时间框架显示看跌市场方向</blockquote> Brett Freeze, principal at&nbsp;Global Technical Analysis&nbsp;(GTA), uses a unique set of time frames matched with trend models to identify support and resistance levels. Markets behave in different ways based on different time periods and participants. For example, institutional investors tend to make long-term investments quarterly. GTA analysis reports on quarterly, monthly, weekly, and daily trends. The following chart shows ES futures contract prices are below Monthly and Weekly Trends. The model notes a one period or two-period move as below trend.&nbsp; When ES future prices make three consecutive period moves, a trend is indicated for that timeframe.<blockquote>全球技术分析(GTA)负责人Brett Freeze使用一组与趋势模型相匹配的独特时间框架来识别支撑位和阻力位。基于不同的时间段和参与者，市场以不同的方式表现。例如，机构投资者倾向于按季度进行长期投资。GTA分析报告季度、月度、每周和每日趋势。下图显示ES期货合约价格低于月度和周度趋势。该模型将一个周期或两个周期的波动记录为趋势下方。当ES期货价格连续三个周期波动时，就会显示出该时间段的趋势。</blockquote> <img src=\"https://static.tigerbbs.com/e9ba427422a47c1b726adaf06be1ee40\" tg-width=\"284\" tg-height=\"353\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Source: Brett Freeze, Global Technical Analysis – 10/15/21<blockquote>资料来源：Brett Freeze，全球技术分析–10/15/21</blockquote> Note: PQH = Previous Quarter High, PQL = Previous Quarter Low, PMH = Previous Month High, PML = Previous Month Low, PWH = Previous Weekly High, PML = Previous Weekly Low, PDH = Previous Daily High, PDL = Previous Daily Low<blockquote>注：PQH=上季度高点，PQL=上季度低点，PMH=上个月高点，PML=上个月低点，PWH=上个周高点，PML=上个周低点，PDH=上个日高点，PDL=上个日低点</blockquote> Realized Volatility Is Relatively Low, Yet Implied Volatility Is Rising<blockquote>已实现波动率相对较低，但隐含波动率正在上升</blockquote> Realized volatility is the change in price between the daily closes of a stock, ETF, or financial instrument.&nbsp; The following chart from Lance Roberts and CNBC shows how price changes in the S&amp;P 500 have been above average but are still within a 2% daily range since the March 2020 SPX lows.<blockquote>已实现波动性是股票、ETF或金融工具每日收盘之间的价格变化。Lance Roberts和美国消费者新闻与商业频道的下图显示了自2020年3月SPX低点以来，标普500的价格变化一直高于平均水平，但仍在2%的每日范围内。</blockquote> <img src=\"https://static.tigerbbs.com/ace2a9235ff5f0e88cd9eebaeee2f0d4\" tg-width=\"340\" tg-height=\"202\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Source: Real Investment Advice – 10/6/21<blockquote>资料来源：Real Investment Advice–10/6/21</blockquote> Realized volatility shows how market participants are actually driving market price swings by direct trading.&nbsp; The limited movement of realized volatility obscures the impact of implied volatility of markets.<blockquote>已实现波动率显示了市场参与者如何通过直接交易实际推动市场价格波动。已实现波动率的有限变动掩盖了市场隐含波动率的影响。</blockquote> Implied Volatility<blockquote>隐含波动率</blockquote> Implied volatility is the range of prices based on speculation of where a price may be for underlying security or index at a specific date. Overall implied volatility has been climbing the past few years.&nbsp; The Volatility Index (VIX) is an indicator of implied volatility. The Chicago Board Options Exchange developed the VIX as a real-time index representing market expectations for the relative strength of near-term price changes of the S&amp;P 500 index (SPX). It is calculated based on the ratio of puts (an option to sell underlying security) to calls (an option to buy underlying security) for near-term (30 days or less) options contracts.<blockquote>隐含波动率是基于对特定日期标的证券或指数价格的推测而得出的价格范围。过去几年，整体隐含波动率一直在攀升。波动率指数（VIX）是隐含波动率的指标。芝加哥期权交易所开发了VIX作为一个实时指数，代表市场对标普500指数（SPX）近期价格变化相对强度的预期。它是根据近期（30天或更短时间）期权合约的看跌期权（出售标的证券的期权）与评级（购买标的证券的期权）的比率计算的。</blockquote> VIX – Bullish or Bearish?<blockquote>VIX–看涨还是看跌？</blockquote> The lower the VIX index and the more calls to puts is considered bullish.&nbsp; Conversely, the more puts to calls driving and higher VIX is deemed to be bearish.&nbsp; The VIX uses put and call options set at specific strike price levels that traders speculate the SPX maybe, not the actual SPX index value. The VIX is one gauge of market sentiment on the direction of prices for the SPX.&nbsp; Over the past several years, the baseline VIX has been climbing as the SPX has rallied. &nbsp;Higher lows indicate growing anxiety about high valuations.&nbsp; The following monthly chart shows the VIX levels since 2014 with higher lows (red arrow) as it spikes at market lows like March 2020.<blockquote>VIX指数越低，看跌期权的评级越多，被认为是看涨的。相反，评级驱动的看跌期权越多，VIX越高，被认为是看跌的。VIX使用看跌期权和看涨期权期权，这些期权设置在交易者推测SPX的特定执行价格水平，而不是实际的SPX指数值。VIX是衡量SPX价格方向的市场情绪的一个指标。在过去的几年里，随着SPX的上涨，基准VIX一直在攀升。更高的低点表明对高估值的焦虑越来越大。下面的月度图表显示了自2014年以来的VIX水平，随着它在2020年3月等市场低点飙升，低点更高（红色箭头）。</blockquote> <img src=\"https://static.tigerbbs.com/98c0f760446a7141e4d4657f24c5fa84\" tg-width=\"1024\" tg-height=\"637\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Source: Patrick Hill – 10/16/21<blockquote>资料来源：帕特里克·希尔–10/16/21</blockquote> The VIX reached a low of 9.51 in 2017 and today stands at 16.30 on October 15th as a rally continues. &nbsp;The VIX reached a high of 53.54 at the SPX March 2020 decline. It would seem with higher lows that a higher spike is possible. Daily options market volume as of September is higher than the volume of underlying stocks. This means thatspeculation on where the SPX level will be&nbsp;is overtaking market flows.<blockquote>VIX在2017年触及9.51的低点，随着反弹的继续，今天于10月15日触及16.30VIX在SPX 2020年3月下跌时达到53.54的高点。似乎低点越高，峰值就越高。截至9月份，每日期权市场成交量高于标的股票成交量。这意味着对SPX水平的猜测正在超越市场流量。</blockquote> Options Levels Point to A Volatility Storm Zone – Below 4400<blockquote>期权水平指向波动风暴区——低于4400点</blockquote> Options analysts note last week’s bounce in S&amp;P 500 Index is likely due to traders selling put options at monthly expiration, which crushed implied volatility.&nbsp; The VIX indicator fell to 16.80 from 20. Dealers began setting up ‘short volatility positions and buying calls supporting the rise in market prices. SPX levels of open interest in puts and calls identify where there may be support or resistance to prices.<blockquote>期权分析师指出，上周标普500指数的反弹可能是由于交易员在每月到期时出售看跌期权，这压低了隐含波动率。VIX指标从20跌至16.80。交易商开始建立波动性空头头寸，买入支撑市场价格上涨的评级。SPX看跌期权和评级的未平仓合约水平确定了价格可能存在支撑或阻力的位置。</blockquote> The following chart shows a gamma pivot point at 4400.&nbsp; Gamma is the rate of change of the delta or sensitivity of the option price to a $1 change in the underlying stock price.&nbsp; It measures the rate at which dealers must adjust their hedged positions. Positive gamma is above 4400, where there are more calls than puts and traders are net-long options.&nbsp; As a stock price goes up, the dealer sells the stock and buys it as it goes down.&nbsp; Dealers dampen price changes in a positive gamma environment.<blockquote>下图显示了4400的伽马支点。伽马是delta的变化率或期权价格对标的股票价格1美元变化的敏感度。它衡量交易商必须调整其对冲头寸的速度。正伽马高于4400，这里的评级多于看跌期权，交易者是净多头期权。当股价上涨时，交易商卖出股票，当股价下跌时买入。交易商在正伽马环境中抑制价格变化。</blockquote> Conversely, when a dealer is net short options, they must hedge by selling the stock as it goes down and buying the stock as price rises triggering increased volatility.&nbsp; Today, 4400 is the pivot point between positive and negative gamma. Below 4300, we added a Volatility Zone where a volatility storm may build. The chart shows total open interest with puts below the zero line and calls above, with current expiration darkly shaded.<blockquote>相反，当交易者是净空头期权时，他们必须通过在股票下跌时卖出股票，在价格上涨引发波动性增加时买入股票来对冲。今天，4400是正负伽马之间的支点。在4300点以下，我们增加了一个波动区，在那里可能会形成波动风暴。图表显示了未平仓合约总数，看跌期权低于零线，评级高于零线，当前到期日为深色阴影。</blockquote> <img src=\"https://static.tigerbbs.com/be725e07c06556189d424b4731d9f66c\" tg-width=\"731\" tg-height=\"481\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Sources: SpotGamma.com and Patrick Hill – 10/15/21<blockquote>资料来源：SpotGamma.com和Patrick Hill–10/15/21</blockquote> Watch out Below 4400<blockquote>4400以下留意</blockquote> Brent Kochuba, a co-founder of SpotGamma, notes likely increased volatility below 4400,<blockquote>SpotGamma联合创始人Brent Kochuba指出，低于4400点波动性可能会增加,</blockquote> ”&nbsp;We currently see fairly light put positions below 4400.&nbsp;This implies that traders may need to purchase put options on a break of 4400, which could in turn force options dealers to short futures. This could lead to dealers shorting into a down market,&nbsp;which increases volatility.” We have located where the volatility storm may develop. But, what factors might trigger a storm?<blockquote>“我们目前看到低于4400点的看跌头寸相当清淡。这意味着交易者可能需要在突破4400点时买入看跌期权，这反过来可能迫使期权交易商做空期货。这可能会导致交易商在下跌的市场中做空，从而增加波动性。”我们已经找到了波动风暴可能发展的地方。但是，什么因素可能会引发风暴呢？</blockquote> Factors Triggering a Volatility Storm<blockquote>引发波动风暴的因素</blockquote> The critical triggering events will be Federal Reserve tapering and interest rate increases planned for 2022.&nbsp; The financial markets depend on high levels of liquidity, so any reduction in liquidity could act as a catalyst for a volatility storm.&nbsp; Other factors that may magnify a liquidity crunch include:<blockquote>关键的触发事件将是美联储缩减规模和计划于2022年加息。金融市场依赖于高水平的流动性，因此流动性的任何减少都可能成为波动风暴的催化剂。其他可能放大流动性紧缩的因素包括：</blockquote> <ol> <li>The debt ceiling not being raised in December<blockquote><ol><li>12月债务上限不会提高</li></ol></blockquote></li> <li>Options hedgers overreach and can’t cover margin positions, triggering forced selling<blockquote><li>期权套期保值者过度扩张，无法弥补保证金头寸，引发强制抛售</li></blockquote></li> <li>Inflation roaring further ahead beyond the Fed’s ability to control it, so the market loses confidence in the Fed<blockquote><li>通胀进一步飙升，超出了美联储的控制能力，因此市场对美联储失去了信心</li></blockquote></li> <li>The Fed raises interest rates higher and faster than the market expects<blockquote><li>美联储加息幅度比市场预期更高、更快</li></blockquote></li> <li>Consumers quit spending, causing retail sales to drop, corporations sales fall, and stock buybacks end that were sustaining high market valuations<blockquote><li>消费者停止消费，导致零售额下降，企业销售额下降，维持高市场估值的股票回购结束</li></blockquote></li> <li>The economy goes into a recession as GDP drops, employment falls, and corporate valuations fall<blockquote><li>随着GDP下降、就业下降和企业估值下降，经济陷入衰退</li></blockquote></li> <li>Any black swan event like the pandemic<blockquote><li>任何像大流行这样的黑天鹅事件</li></blockquote></li> </ol> Any volatility storm as markets decline is likely to force analysts to shift from valuing stocks based on market speculation to actual GAAP earnings (not stock buyback inflated EPS), fundamentals, and related unused valuation tools.&nbsp; The TINA – ‘there is no alternative’ trading phenomenon would be over.&nbsp;&nbsp;Investors will need to be mindful of the extreme volatility posed by a volatility storm. Accordingly, wild rallies and steep falls will require portfolio managers to sharpen their hedging and volatility strategies to maintain portfolio value.<blockquote>随着市场下跌，任何波动性风暴都可能迫使分析师从基于市场投机的股票估值转向实际GAAP收益（而不是股票回购膨胀的每股收益）、基本面和相关未使用的估值工具。TINA——“别无选择”的交易现象将会结束。投资者需要注意波动风暴带来的极端波动。因此，疯狂的上涨和急剧的下跌将要求投资组合经理加强他们的对冲和波动策略，以维持投资组合的价值.</blockquote>","collect":0,"html":"<!DOCTYPE html>\n<html>\n<head>\n<meta http-equiv=\"Content-Type\" content=\"text/html; charset=utf-8\" />\n<meta name=\"viewport\" content=\"width=device-width,initial-scale=1.0,minimum-scale=1.0,maximum-scale=1.0,user-scalable=no\"/>\n<meta name=\"format-detection\" content=\"telephone=no,email=no,address=no\" />\n<title>Is A Volatility Storm Coming?<blockquote>波动风暴要来了？</blockquote></title>\n<style type=\"text/css\">\na,abbr,acronym,address,applet,article,aside,audio,b,big,blockquote,body,canvas,caption,center,cite,code,dd,del,details,dfn,div,dl,dt,\nem,embed,fieldset,figcaption,figure,footer,form,h1,h2,h3,h4,h5,h6,header,hgroup,html,i,iframe,img,ins,kbd,label,legend,li,mark,menu,nav,\nobject,ol,output,p,pre,q,ruby,s,samp,section,small,span,strike,strong,sub,summary,sup,table,tbody,td,tfoot,th,thead,time,tr,tt,u,ul,var,video{ font:inherit;margin:0;padding:0;vertical-align:baseline;border:0 }\nbody{ font-size:16px; line-height:1.5; color:#999; background:transparent; }\n.wrapper{ overflow:hidden;word-break:break-all;padding:10px; }\nh1,h2{ font-weight:normal; line-height:1.35; margin-bottom:.6em; }\nh3,h4,h5,h6{ line-height:1.35; margin-bottom:1em; }\nh1{ font-size:24px; }\nh2{ font-size:20px; }\nh3{ font-size:18px; }\nh4{ font-size:16px; }\nh5{ font-size:14px; }\nh6{ font-size:12px; }\np,ul,ol,blockquote,dl,table{ margin:1.2em 0; }\nul,ol{ margin-left:2em; }\nul{ list-style:disc; }\nol{ list-style:decimal; }\nli,li p{ margin:10px 0;}\nimg{ max-width:100%;display:block;margin:0 auto 1em; }\nblockquote{ color:#B5B2B1; border-left:3px solid #aaa; padding:1em; }\nstrong,b{font-weight:bold;}\nem,i{font-style:italic;}\ntable{ width:100%;border-collapse:collapse;border-spacing:1px;margin:1em 0;font-size:.9em; }\nth,td{ padding:5px;text-align:left;border:1px solid #aaa; }\nth{ font-weight:bold;background:#5d5d5d; }\n.symbol-link{font-weight:bold;}\n/* header{ border-bottom:1px solid #494756; } */\n.title{ margin:0 0 8px;line-height:1.3;color:#ddd; }\n.meta {color:#5e5c6d;font-size:13px;margin:0 0 .5em; }\na{text-decoration:none; color:#2a4b87;}\n.meta .head { display: inline-block; overflow: hidden}\n.head .h-thumb { width: 30px; height: 30px; margin: 0; padding: 0; border-radius: 50%; float: left;}\n.head .h-content { margin: 0; padding: 0 0 0 9px; float: left;}\n.head .h-name {font-size: 13px; color: #eee; margin: 0;}\n.head .h-time {font-size: 12.5px; color: #7E829C; margin: 0;}\n.small {font-size: 12.5px; display: inline-block; transform: scale(0.9); -webkit-transform: scale(0.9); transform-origin: left; -webkit-transform-origin: left;}\n.smaller {font-size: 12.5px; display: inline-block; transform: scale(0.8); -webkit-transform: scale(0.8); transform-origin: left; -webkit-transform-origin: left;}\n.bt-text {font-size: 12px;margin: 1.5em 0 0 0}\n.bt-text p {margin: 0}\n</style>\n</head>\n<body>\n<div class=\"wrapper\">\n<header>\n<h2 class=\"title\">\nIs A Volatility Storm Coming?<blockquote>波动风暴要来了？</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-10-21 20:39\n\n</h4>\n</header>\n<article>\n “ Volatility often refers to the amount of uncertainty or risk related to the&nbsp;size of changes in a security’s value. A higher volatility means that a security’s value can potentially be spread out over a larger range of values. This means that the price of the security can change dramatically over a short time period in either direction.”– Investopedia Federal Reserve Bond Tapering &amp; Interest Rate Hikes Reduce Liquidity<blockquote>“波动性通常是指与证券价值变化大小相关的不确定性或风险的大小。较高的波动性意味着证券的价值可能会分散到更大的价值范围内。这意味着证券的价格可能会在短时间内朝任一方向发生巨大变化。”-投资百科美联储债券缩减和加息减少流动性</blockquote> Federal Reserve liquidity injections have bailed out the economy and equity markets for the last 18 months. And as a result, the bailout created a relatively low volatility environment for equity and bond markets.&nbsp; Will the announced withdrawal of Fed injections of $120B per month set up the monetary system for higher volatility? &nbsp;We see major economic forces combining in the intermediate future to create a possible ‘volatility storm’ driving valuations down.&nbsp;These economic forces include:<blockquote>过去18个月，美联储的流动性注入为经济和股市提供了救助。结果，救助为股票和债券市场创造了一个波动性相对较低的环境。美联储宣布撤回每月1200亿美元的注资是否会让货币体系面临更高的波动性？我们看到主要经济力量将在中期结合起来，可能会造成一场“波动风暴”，导致估值下降。这些经济力量包括：</blockquote> <ul> <li>Fed tapering</li> <li>Interest rate hikes</li> <li>Inflation</li> <li>Labor wage increases.</li> </ul> One of these macro factors is a challenge for monetary policymakers to mitigate damage to the financial system.&nbsp; But, a combination of these factors already building may overwhelm the monetary system. Further, markets are at historic high valuations today. But, market weaknesses and structure, along with valuations may create optimal conditions for a volatility storm.<blockquote><ul><li>美联储缩减规模</li><li>加息</li><li>通货膨胀</li><li>劳动力工资上涨.</li></ul>这些宏观因素之一是货币政策制定者减轻对金融体系损害的挑战。但是，这些因素的结合可能会压垮货币体系。此外，目前市场估值处于历史高位。但是，市场弱点和结构以及估值可能会为波动风暴创造最佳条件。</blockquote> Taper Is Coming<blockquote>Taper来了</blockquote> In September, the minutes of the September Federal Open Market Committee meeting noted that most participants agreed that tapering of treasury and mortgage bond purchases should begin in December, but analysts expect a formal announcement at the November Fed meeting.&nbsp; Accordingly, here is a forecast of how the projected tapering may occur into mid – June 2022.<blockquote>9月，联邦公开市场委员会9月会议纪要指出，大多数与会者同意应在12月开始缩减美国国债和抵押贷款债券购买，但分析师预计将在11月美联储会议上正式宣布。因此，这里对预计的缩减可能如何进行到2022年6月中旬的预测。</blockquote> <img src=\"https://static.tigerbbs.com/b46d7d94707e6fedad83d772a24c0293\" tg-width=\"478\" tg-height=\"294\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Sources: Zero Hedge, Real Investment Advice – 10/15/21<blockquote>资料来源：零对冲，真实投资建议-10/15/21</blockquote> The financial markets enjoyed about $2.16T in liquidity injections resulting in a low volatility monetary environment for the S&amp;P 500 to bull market from a March 2020 low of 2191 to 4471. The impact of tapering is both real and psychological.&nbsp; However, some analysts argue that the real reduction in bond purchases will have a minimal effect on bond markets.&nbsp; Others note that while the actual withdrawal of treasury bond purchases in the $21.9T treasury market is small, the psychological aspects of tapering are significant.&nbsp; Investors will feel the Federal Reserve is not ‘covering their downside risk’ anymore.<blockquote>金融市场获得了约2.16 T美元的流动性注入，为标普500从2020年3月低点2191点至4471点的牛市带来了低波动性的货币环境。缩减购债规模的影响既是真实的，也是心理上的。然而，一些分析师认为，真正缩减购债规模对债券市场的影响微乎其微。另一些分析师指出，虽然21.9美元国债市场实际撤出的国债购买规模很小，但缩减购债规模的心理影响很大。投资者会觉得美联储不再“掩盖他们的下行风险”。</blockquote> Some economists see an increase in volatility due to the end of bond purchases and increasing interest rates. &nbsp;On Fox&nbsp;News, October 17th, Mohammed El-Erian, Chief Economic Advisor at Allianz SE, said he sees increased volatility in the future.<blockquote>一些经济学家认为，由于债券购买结束和利率上升，波动性将会增加。在福克斯新闻频道，10月17日，安联首席经济顾问Mohammed El-Erian说，他认为未来的波动性会增加。</blockquote> “I worry…that this wonderful world we’ve been living in of low volatility, everything going up, may come to a stop with higher volatility. If I were an investor, I would recognize that I’m riding a huge liquidity wave thanks to the Fed, but I would remember that waves tend to break at some point, so I would be very attentive.” Inflation Surges to Decade Highs<blockquote>“我担心……我们生活在这个低波动性、一切都在上涨的美好世界，可能会随着更高的波动性而停止。如果我是一名投资者，我会认识到我正在乘着巨大的流动性浪潮感谢美联储，但我会记住波浪往往会在某个时候破裂，所以我会非常关注.”通胀飙升至十年高点</blockquote> The Consumer Price Index, CPI has moved above 5% on a year-over-year basis and it continues to rise.&nbsp; Housing rent prices are up by 17.9%, according to the Case – Shiller housing September index.&nbsp; Rent increases lead owner equivalent rent housing costs by five months based on a model by Macrobond and Nordea. This means that the 14% jump in existing home prices YoY is likely to extend into next year. &nbsp;&nbsp;Below is a chart of the CPI since 2017 and major components such as housing and gasoline.<blockquote>消费者价格指数CPI同比涨幅超过5%，并且还在继续上涨。根据Case-Shiller住房9月份指数，住房租金价格上涨了17.9%。根据Macrobond和Nordea的模型，租金使主要业主的当量租金住房成本增加了五个月。这意味着现房价格同比上涨14%可能会延续到明年。下面是2017年以来CPI以及住房和汽油等主要组成部分的图表。</blockquote> <img src=\"https://static.tigerbbs.com/42bb01bf2a1f52ca5608cb7d58333091\" tg-width=\"624\" tg-height=\"300\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Sources: Bloomberg, Bureau of Labor Statistics – 10/13/21<blockquote>资料来源：彭博社，劳工统计局-10/13/21</blockquote> The record prices of key commodities continue to drive the price of manufactured goods higher. Oil prices settled at $85 per barrel, a three-year high on October 15th.&nbsp; Aluminum prices have increased by 40% in the last year. &nbsp;The metal price hit a 13 year high on the London Metal Exchange on October 15th&nbsp;as well.&nbsp; Copper prices surged by12% in the last week to the highest price since May 12th with a 74 year low in inventories.&nbsp; Demand for primary metals has soared due to power generation demand and the shift to green power infrastructure systems. If passed, the $1T Bipartisan Infrastructure Bill agreed upon in Congress will likely keep commodities prices high for a couple of years.<blockquote>关键大宗商品创纪录的价格继续推动制成品价格走高。油价10月15日收于每桶85美元，创三年新高。铝价最近一年上涨了40%。10月15日，伦敦金属交易所的金属价格也创下了13年来的新高。铜价上周飙升12%，至5月12日以来的最高价格，库存为74年来的最低水平。由于发电需求和向绿色电力基础设施系统的转变，对初级金属的需求飙升。如果获得通过，国会达成的1T美元两党基础设施法案可能会使大宗商品价格在几年内保持高位。</blockquote> China Boosting Demand<blockquote>中国提振需求</blockquote> Plus, China continues to make considerable investments in manufacturing and power generation projects keeping global demand high for commodities.&nbsp; Container shipping of commodities adds to their price.&nbsp; Container shipping rates from Shanghai to Los Angeles have increased by ten times in the last year. Computer chip shortages continue with the highest delays on record in chip shipments for September and auto manufacturers have reduced production on some models by 10 – 20% reducing car inventories at dealers and supporting high new and used car prices.&nbsp; Mitigating the surge in inflation would be declining consumer sentiment and buying, plus a possible slowdown in the global economy.&nbsp; Yet, wages may continue to climb, causing businesses to respond with price increases.<blockquote>此外，中国继续在制造业和发电项目上进行大量投资，保持了全球对大宗商品的高需求。大宗商品的集装箱运输推高了大宗商品的价格。去年，从上海到洛杉矶的集装箱运费上涨了10倍。计算机芯片短缺仍在继续，9月份芯片出货出现创纪录的最高延迟，汽车制造商将一些车型的产量减少了10-20%，减少了经销商的汽车库存，支撑了新车和二手车的高价格。缓解通胀飙升的将是消费者信心和购买能力下降，加上全球经济可能放缓。然而，工资可能会继续攀升，导致企业以涨价作为回应。</blockquote> Increased Wages Drive Demand Inflation<blockquote>工资上涨推动需求通胀</blockquote> Increases in wages will possibly sustain demand.&nbsp;&nbsp; Weekly earnings have soared to almost 10%.&nbsp; This chart shows weekly earnings back to 1983, the last time earnings increased at this high level.<blockquote>工资上涨可能会维持需求。周收入飙升至近10%。这张图表显示了1983年以来的每周收入，这是上一次收入以如此高的水平增长。</blockquote> <img src=\"https://static.tigerbbs.com/506983ffb8ae5539d73c2b38704eaaac\" tg-width=\"504\" tg-height=\"281\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Source: Bloomberg – 10/12/21<blockquote>资料来源：彭博社–10/12/21</blockquote> Worker earnings increases continue to be driven by a labor shortage. There are 4.3M jobs left to fill since the labor force participation rate high of February 2020. Critical factors in many jobs not being filled include: 3.6M retirees not returning to the labor force, lower-wage hospitality workers into higher-paying warehouse and delivery jobs, and 2.5M workers staying at home to care for Covid-19 relatives.&nbsp; The Wall Street Journal reports on October 14th&nbsp;the labor participation rate is at 61.6% versus 63.3% in February 2020. As a result, the labor force participation rate continues to be below pre-pandemic levels.<blockquote>劳动力短缺继续推动工人收入增长。自2020年2月劳动力参与率达到高点以来，仍有430万个工作岗位需要填补。许多工作岗位没有被填补的关键因素包括：360万退休人员没有重返劳动力市场，工资较低的酒店工人进入工资较高的仓库和送货工作，以及250万工人呆在家里照顾新冠肺炎的亲戚。《华尔街日报》10月14日报道称，劳动参与率为61.6%，而2020年2月为63.3%。因此，劳动力参与率继续低于大流行前的水平。</blockquote> <img src=\"https://static.tigerbbs.com/f16eafc3d71caf12aa588f86a34aa92d\" tg-width=\"1024\" tg-height=\"741\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Sources: Labor Department, The Wall Street Journal – 10/14/21<blockquote>资料来源：劳工部、华尔街日报-10/14/21</blockquote> Labor Shortages Aren’t Helping<blockquote>劳动力短缺无济于事</blockquote> The National Federation of Independent Businesses recently reported that their&nbsp;Hard Jobs to Fill indicator shows that wages are likely to continue to soar. The following chart shows how the labor shortage is fueling a rise in wages.<blockquote>全国独立企业联合会最近报告说，他们的难以填补的工作指标显示工资可能会继续飙升。下图显示了劳动力短缺是如何推动工资上涨的。</blockquote> <img src=\"https://static.tigerbbs.com/f1dc82681ef42b51af8dc4814cb5c16c\" tg-width=\"376\" tg-height=\"393\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Sources: NFIB, The Daily Shot 10/12/21<blockquote>资料来源：NFIB，The Daily Shot 10/12/21</blockquote> In many industries, the labor shortage is forcing employers to hire key employees away from competitors.&nbsp; Accordingly, employers report in tight markets such as software programming offering 20% hire-on bonuses.&nbsp;&nbsp; The restaurant industry’s average wage now stands above $15 per hour to attract workers in this 400% yearly worker churn sector.&nbsp; Further, recruiters report that some workers seeing a tight labor market are evaluating work-life balance choices.&nbsp; Also, drop-out workers in some cases are taking vacations, pursuing hobbies, or just taking a break.&nbsp; Remote work-from-home options will continue to create tighter labor conditions for the foreseeable future.&nbsp; A September Wall Street Journal survey of 52 economists showed that 42% expect the economy to not recover to pre-pandemic workforce levels for years to come.<blockquote>在许多行业，劳动力短缺迫使雇主从竞争对手那里雇佣关键员工。因此，雇主报告说，在软件编程等紧张的市场中，提供20%的雇佣奖金。餐饮业的平均工资现在超过每小时15美元，以吸引这个每年400%员工流失的行业的工人。此外，招聘人员报告说，一些看到劳动力市场紧张的工人正在评估工作与生活的平衡选择。此外，在某些情况下，辍学的工人正在休假，追求爱好，或者只是休息一下。在可预见的未来，远程在家工作的选择将继续造成更紧张的劳动条件。《华尔街日报》9月份对52名经济学家的调查显示，42%的人预计未来几年经济不会恢复到疫情之前的劳动力水平。</blockquote> Next, let’s look at how weaknesses in the market can provide clues on a gathering volatility storm.<blockquote>接下来，让我们看看市场的弱点如何为正在聚集的波动风暴提供线索。</blockquote> Monthly, Weekly Time Frames Show Bearish Market Direction<blockquote>月度、每周时间框架显示看跌市场方向</blockquote> Brett Freeze, principal at&nbsp;Global Technical Analysis&nbsp;(GTA), uses a unique set of time frames matched with trend models to identify support and resistance levels. Markets behave in different ways based on different time periods and participants. For example, institutional investors tend to make long-term investments quarterly. GTA analysis reports on quarterly, monthly, weekly, and daily trends. The following chart shows ES futures contract prices are below Monthly and Weekly Trends. The model notes a one period or two-period move as below trend.&nbsp; When ES future prices make three consecutive period moves, a trend is indicated for that timeframe.<blockquote>全球技术分析(GTA)负责人Brett Freeze使用一组与趋势模型相匹配的独特时间框架来识别支撑位和阻力位。基于不同的时间段和参与者，市场以不同的方式表现。例如，机构投资者倾向于按季度进行长期投资。GTA分析报告季度、月度、每周和每日趋势。下图显示ES期货合约价格低于月度和周度趋势。该模型将一个周期或两个周期的波动记录为趋势下方。当ES期货价格连续三个周期波动时，就会显示出该时间段的趋势。</blockquote> <img src=\"https://static.tigerbbs.com/e9ba427422a47c1b726adaf06be1ee40\" tg-width=\"284\" tg-height=\"353\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Source: Brett Freeze, Global Technical Analysis – 10/15/21<blockquote>资料来源：Brett Freeze，全球技术分析–10/15/21</blockquote> Note: PQH = Previous Quarter High, PQL = Previous Quarter Low, PMH = Previous Month High, PML = Previous Month Low, PWH = Previous Weekly High, PML = Previous Weekly Low, PDH = Previous Daily High, PDL = Previous Daily Low<blockquote>注：PQH=上季度高点，PQL=上季度低点，PMH=上个月高点，PML=上个月低点，PWH=上个周高点，PML=上个周低点，PDH=上个日高点，PDL=上个日低点</blockquote> Realized Volatility Is Relatively Low, Yet Implied Volatility Is Rising<blockquote>已实现波动率相对较低，但隐含波动率正在上升</blockquote> Realized volatility is the change in price between the daily closes of a stock, ETF, or financial instrument.&nbsp; The following chart from Lance Roberts and CNBC shows how price changes in the S&amp;P 500 have been above average but are still within a 2% daily range since the March 2020 SPX lows.<blockquote>已实现波动性是股票、ETF或金融工具每日收盘之间的价格变化。Lance Roberts和美国消费者新闻与商业频道的下图显示了自2020年3月SPX低点以来，标普500的价格变化一直高于平均水平，但仍在2%的每日范围内。</blockquote> <img src=\"https://static.tigerbbs.com/ace2a9235ff5f0e88cd9eebaeee2f0d4\" tg-width=\"340\" tg-height=\"202\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Source: Real Investment Advice – 10/6/21<blockquote>资料来源：Real Investment Advice–10/6/21</blockquote> Realized volatility shows how market participants are actually driving market price swings by direct trading.&nbsp; The limited movement of realized volatility obscures the impact of implied volatility of markets.<blockquote>已实现波动率显示了市场参与者如何通过直接交易实际推动市场价格波动。已实现波动率的有限变动掩盖了市场隐含波动率的影响。</blockquote> Implied Volatility<blockquote>隐含波动率</blockquote> Implied volatility is the range of prices based on speculation of where a price may be for underlying security or index at a specific date. Overall implied volatility has been climbing the past few years.&nbsp; The Volatility Index (VIX) is an indicator of implied volatility. The Chicago Board Options Exchange developed the VIX as a real-time index representing market expectations for the relative strength of near-term price changes of the S&amp;P 500 index (SPX). It is calculated based on the ratio of puts (an option to sell underlying security) to calls (an option to buy underlying security) for near-term (30 days or less) options contracts.<blockquote>隐含波动率是基于对特定日期标的证券或指数价格的推测而得出的价格范围。过去几年，整体隐含波动率一直在攀升。波动率指数（VIX）是隐含波动率的指标。芝加哥期权交易所开发了VIX作为一个实时指数，代表市场对标普500指数（SPX）近期价格变化相对强度的预期。它是根据近期（30天或更短时间）期权合约的看跌期权（出售标的证券的期权）与评级（购买标的证券的期权）的比率计算的。</blockquote> VIX – Bullish or Bearish?<blockquote>VIX–看涨还是看跌？</blockquote> The lower the VIX index and the more calls to puts is considered bullish.&nbsp; Conversely, the more puts to calls driving and higher VIX is deemed to be bearish.&nbsp; The VIX uses put and call options set at specific strike price levels that traders speculate the SPX maybe, not the actual SPX index value. The VIX is one gauge of market sentiment on the direction of prices for the SPX.&nbsp; Over the past several years, the baseline VIX has been climbing as the SPX has rallied. &nbsp;Higher lows indicate growing anxiety about high valuations.&nbsp; The following monthly chart shows the VIX levels since 2014 with higher lows (red arrow) as it spikes at market lows like March 2020.<blockquote>VIX指数越低，看跌期权的评级越多，被认为是看涨的。相反，评级驱动的看跌期权越多，VIX越高，被认为是看跌的。VIX使用看跌期权和看涨期权期权，这些期权设置在交易者推测SPX的特定执行价格水平，而不是实际的SPX指数值。VIX是衡量SPX价格方向的市场情绪的一个指标。在过去的几年里，随着SPX的上涨，基准VIX一直在攀升。更高的低点表明对高估值的焦虑越来越大。下面的月度图表显示了自2014年以来的VIX水平，随着它在2020年3月等市场低点飙升，低点更高（红色箭头）。</blockquote> <img src=\"https://static.tigerbbs.com/98c0f760446a7141e4d4657f24c5fa84\" tg-width=\"1024\" tg-height=\"637\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Source: Patrick Hill – 10/16/21<blockquote>资料来源：帕特里克·希尔–10/16/21</blockquote> The VIX reached a low of 9.51 in 2017 and today stands at 16.30 on October 15th as a rally continues. &nbsp;The VIX reached a high of 53.54 at the SPX March 2020 decline. It would seem with higher lows that a higher spike is possible. Daily options market volume as of September is higher than the volume of underlying stocks. This means thatspeculation on where the SPX level will be&nbsp;is overtaking market flows.<blockquote>VIX在2017年触及9.51的低点，随着反弹的继续，今天于10月15日触及16.30VIX在SPX 2020年3月下跌时达到53.54的高点。似乎低点越高，峰值就越高。截至9月份，每日期权市场成交量高于标的股票成交量。这意味着对SPX水平的猜测正在超越市场流量。</blockquote> Options Levels Point to A Volatility Storm Zone – Below 4400<blockquote>期权水平指向波动风暴区——低于4400点</blockquote> Options analysts note last week’s bounce in S&amp;P 500 Index is likely due to traders selling put options at monthly expiration, which crushed implied volatility.&nbsp; The VIX indicator fell to 16.80 from 20. Dealers began setting up ‘short volatility positions and buying calls supporting the rise in market prices. SPX levels of open interest in puts and calls identify where there may be support or resistance to prices.<blockquote>期权分析师指出，上周标普500指数的反弹可能是由于交易员在每月到期时出售看跌期权，这压低了隐含波动率。VIX指标从20跌至16.80。交易商开始建立波动性空头头寸，买入支撑市场价格上涨的评级。SPX看跌期权和评级的未平仓合约水平确定了价格可能存在支撑或阻力的位置。</blockquote> The following chart shows a gamma pivot point at 4400.&nbsp; Gamma is the rate of change of the delta or sensitivity of the option price to a $1 change in the underlying stock price.&nbsp; It measures the rate at which dealers must adjust their hedged positions. Positive gamma is above 4400, where there are more calls than puts and traders are net-long options.&nbsp; As a stock price goes up, the dealer sells the stock and buys it as it goes down.&nbsp; Dealers dampen price changes in a positive gamma environment.<blockquote>下图显示了4400的伽马支点。伽马是delta的变化率或期权价格对标的股票价格1美元变化的敏感度。它衡量交易商必须调整其对冲头寸的速度。正伽马高于4400，这里的评级多于看跌期权，交易者是净多头期权。当股价上涨时，交易商卖出股票，当股价下跌时买入。交易商在正伽马环境中抑制价格变化。</blockquote> Conversely, when a dealer is net short options, they must hedge by selling the stock as it goes down and buying the stock as price rises triggering increased volatility.&nbsp; Today, 4400 is the pivot point between positive and negative gamma. Below 4300, we added a Volatility Zone where a volatility storm may build. The chart shows total open interest with puts below the zero line and calls above, with current expiration darkly shaded.<blockquote>相反，当交易者是净空头期权时，他们必须通过在股票下跌时卖出股票，在价格上涨引发波动性增加时买入股票来对冲。今天，4400是正负伽马之间的支点。在4300点以下，我们增加了一个波动区，在那里可能会形成波动风暴。图表显示了未平仓合约总数，看跌期权低于零线，评级高于零线，当前到期日为深色阴影。</blockquote> <img src=\"https://static.tigerbbs.com/be725e07c06556189d424b4731d9f66c\" tg-width=\"731\" tg-height=\"481\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Sources: SpotGamma.com and Patrick Hill – 10/15/21<blockquote>资料来源：SpotGamma.com和Patrick Hill–10/15/21</blockquote> Watch out Below 4400<blockquote>4400以下留意</blockquote> Brent Kochuba, a co-founder of SpotGamma, notes likely increased volatility below 4400,<blockquote>SpotGamma联合创始人Brent Kochuba指出，低于4400点波动性可能会增加,</blockquote> ”&nbsp;We currently see fairly light put positions below 4400.&nbsp;This implies that traders may need to purchase put options on a break of 4400, which could in turn force options dealers to short futures. This could lead to dealers shorting into a down market,&nbsp;which increases volatility.” We have located where the volatility storm may develop. But, what factors might trigger a storm?<blockquote>“我们目前看到低于4400点的看跌头寸相当清淡。这意味着交易者可能需要在突破4400点时买入看跌期权，这反过来可能迫使期权交易商做空期货。这可能会导致交易商在下跌的市场中做空，从而增加波动性。”我们已经找到了波动风暴可能发展的地方。但是，什么因素可能会引发风暴呢？</blockquote> Factors Triggering a Volatility Storm<blockquote>引发波动风暴的因素</blockquote> The critical triggering events will be Federal Reserve tapering and interest rate increases planned for 2022.&nbsp; The financial markets depend on high levels of liquidity, so any reduction in liquidity could act as a catalyst for a volatility storm.&nbsp; Other factors that may magnify a liquidity crunch include:<blockquote>关键的触发事件将是美联储缩减规模和计划于2022年加息。金融市场依赖于高水平的流动性，因此流动性的任何减少都可能成为波动风暴的催化剂。其他可能放大流动性紧缩的因素包括：</blockquote> <ol> <li>The debt ceiling not being raised in December<blockquote><ol><li>12月债务上限不会提高</li></ol></blockquote></li> <li>Options hedgers overreach and can’t cover margin positions, triggering forced selling<blockquote><li>期权套期保值者过度扩张，无法弥补保证金头寸，引发强制抛售</li></blockquote></li> <li>Inflation roaring further ahead beyond the Fed’s ability to control it, so the market loses confidence in the Fed<blockquote><li>通胀进一步飙升，超出了美联储的控制能力，因此市场对美联储失去了信心</li></blockquote></li> <li>The Fed raises interest rates higher and faster than the market expects<blockquote><li>美联储加息幅度比市场预期更高、更快</li></blockquote></li> <li>Consumers quit spending, causing retail sales to drop, corporations sales fall, and stock buybacks end that were sustaining high market valuations<blockquote><li>消费者停止消费，导致零售额下降，企业销售额下降，维持高市场估值的股票回购结束</li></blockquote></li> <li>The economy goes into a recession as GDP drops, employment falls, and corporate valuations fall<blockquote><li>随着GDP下降、就业下降和企业估值下降，经济陷入衰退</li></blockquote></li> <li>Any black swan event like the pandemic<blockquote><li>任何像大流行这样的黑天鹅事件</li></blockquote></li> </ol> Any volatility storm as markets decline is likely to force analysts to shift from valuing stocks based on market speculation to actual GAAP earnings (not stock buyback inflated EPS), fundamentals, and related unused valuation tools.&nbsp; The TINA – ‘there is no alternative’ trading phenomenon would be over.&nbsp;&nbsp;Investors will need to be mindful of the extreme volatility posed by a volatility storm. Accordingly, wild rallies and steep falls will require portfolio managers to sharpen their hedging and volatility strategies to maintain portfolio value.<blockquote>随着市场下跌，任何波动性风暴都可能迫使分析师从基于市场投机的股票估值转向实际GAAP收益（而不是股票回购膨胀的每股收益）、基本面和相关未使用的估值工具。TINA——“别无选择”的交易现象将会结束。投资者需要注意波动风暴带来的极端波动。因此，疯狂的上涨和急剧的下跌将要求投资组合经理加强他们的对冲和波动策略，以维持投资组合的价值.</blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/volatility-storm-coming\">zerohedge</a>\n为提升您的阅读体验，我们对本页面进行了排版优化\n\n\n</div>\n</article>\n</div>\n</body>\n</html>\n","type":0,"thumbnail":"","relate_stocks":{".SPX":"S&P 500 Index",".DJI":"道琼斯",".IXIC":"NASDAQ Composite","SPY":"标普500ETF"},"source_url":"https://www.zerohedge.com/markets/volatility-storm-coming","is_english":true,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1199242962","content_text":"“\n Volatility often refers to the amount of uncertainty or risk related to the size of changes in a security’s value. A higher volatility means that a security’s value can potentially be spread out over a larger range of values. This means that the price of the security can change dramatically over a short time period in either direction.”– Investopedia\n\nFederal Reserve Bond Tapering & Interest Rate Hikes Reduce Liquidity\nFederal Reserve liquidity injections have bailed out the economy and equity markets for the last 18 months. And as a result, the bailout created a relatively low volatility environment for equity and bond markets.  Will the announced withdrawal of Fed injections of $120B per month set up the monetary system for higher volatility?  We see major economic forces combining in the intermediate future to create a possible ‘volatility storm’ driving valuations down. These economic forces include:\n\nFed tapering\nInterest rate hikes\nInflation\nLabor wage increases.\n\nOne of these macro factors is a challenge for monetary policymakers to mitigate damage to the financial system.  But, a combination of these factors already building may overwhelm the monetary system. Further, markets are at historic high valuations today. But, market weaknesses and structure, along with valuations may create optimal conditions for a volatility storm.\nTaper Is Coming\nIn September, the minutes of the September Federal Open Market Committee meeting noted that most participants agreed that tapering of treasury and mortgage bond purchases should begin in December, but analysts expect a formal announcement at the November Fed meeting.  Accordingly, here is a forecast of how the projected tapering may occur into mid – June 2022.\n\nSources: Zero Hedge, Real Investment Advice – 10/15/21\nThe financial markets enjoyed about $2.16T in liquidity injections resulting in a low volatility monetary environment for the S&P 500 to bull market from a March 2020 low of 2191 to 4471. The impact of tapering is both real and psychological.  However, some analysts argue that the real reduction in bond purchases will have a minimal effect on bond markets.  Others note that while the actual withdrawal of treasury bond purchases in the $21.9T treasury market is small, the psychological aspects of tapering are significant.  Investors will feel the Federal Reserve is not ‘covering their downside risk’ anymore.\nSome economists see an increase in volatility due to the end of bond purchases and increasing interest rates.  On Fox News, October 17th, Mohammed El-Erian, Chief Economic Advisor at Allianz SE, said he sees increased volatility in the future.\n\n“I worry…that this wonderful world we’ve been living in of low volatility, everything going up, may come to a stop with higher volatility. If I were an investor, I would recognize that I’m riding a huge liquidity wave thanks to the Fed, but I would remember that waves tend to break at some point, so I would be very attentive.”\n\nInflation Surges to Decade Highs\nThe Consumer Price Index, CPI has moved above 5% on a year-over-year basis and it continues to rise.  Housing rent prices are up by 17.9%, according to the Case – Shiller housing September index.  Rent increases lead owner equivalent rent housing costs by five months based on a model by Macrobond and Nordea. This means that the 14% jump in existing home prices YoY is likely to extend into next year.   Below is a chart of the CPI since 2017 and major components such as housing and gasoline.\n\nSources: Bloomberg, Bureau of Labor Statistics – 10/13/21\nThe record prices of key commodities continue to drive the price of manufactured goods higher. Oil prices settled at $85 per barrel, a three-year high on October 15th.  Aluminum prices have increased by 40% in the last year.  The metal price hit a 13 year high on the London Metal Exchange on October 15th as well.  Copper prices surged by12% in the last week to the highest price since May 12th with a 74 year low in inventories.  Demand for primary metals has soared due to power generation demand and the shift to green power infrastructure systems. If passed, the $1T Bipartisan Infrastructure Bill agreed upon in Congress will likely keep commodities prices high for a couple of years.\nChina Boosting Demand\nPlus, China continues to make considerable investments in manufacturing and power generation projects keeping global demand high for commodities.  Container shipping of commodities adds to their price.  Container shipping rates from Shanghai to Los Angeles have increased by ten times in the last year. Computer chip shortages continue with the highest delays on record in chip shipments for September and auto manufacturers have reduced production on some models by 10 – 20% reducing car inventories at dealers and supporting high new and used car prices.  Mitigating the surge in inflation would be declining consumer sentiment and buying, plus a possible slowdown in the global economy.  Yet, wages may continue to climb, causing businesses to respond with price increases.\nIncreased Wages Drive Demand Inflation\nIncreases in wages will possibly sustain demand.   Weekly earnings have soared to almost 10%.  This chart shows weekly earnings back to 1983, the last time earnings increased at this high level.\n\nSource: Bloomberg – 10/12/21\nWorker earnings increases continue to be driven by a labor shortage. There are 4.3M jobs left to fill since the labor force participation rate high of February 2020. Critical factors in many jobs not being filled include: 3.6M retirees not returning to the labor force, lower-wage hospitality workers into higher-paying warehouse and delivery jobs, and 2.5M workers staying at home to care for Covid-19 relatives.  The Wall Street Journal reports on October 14th the labor participation rate is at 61.6% versus 63.3% in February 2020. As a result, the labor force participation rate continues to be below pre-pandemic levels.\n\nSources: Labor Department, The Wall Street Journal – 10/14/21\nLabor Shortages Aren’t Helping\nThe National Federation of Independent Businesses recently reported that their Hard Jobs to Fill indicator shows that wages are likely to continue to soar. The following chart shows how the labor shortage is fueling a rise in wages.\n\nSources: NFIB, The Daily Shot 10/12/21\nIn many industries, the labor shortage is forcing employers to hire key employees away from competitors.  Accordingly, employers report in tight markets such as software programming offering 20% hire-on bonuses.   The restaurant industry’s average wage now stands above $15 per hour to attract workers in this 400% yearly worker churn sector.  Further, recruiters report that some workers seeing a tight labor market are evaluating work-life balance choices.  Also, drop-out workers in some cases are taking vacations, pursuing hobbies, or just taking a break.  Remote work-from-home options will continue to create tighter labor conditions for the foreseeable future.  A September Wall Street Journal survey of 52 economists showed that 42% expect the economy to not recover to pre-pandemic workforce levels for years to come.\nNext, let’s look at how weaknesses in the market can provide clues on a gathering volatility storm.\nMonthly, Weekly Time Frames Show Bearish Market Direction\nBrett Freeze, principal at Global Technical Analysis (GTA), uses a unique set of time frames matched with trend models to identify support and resistance levels. Markets behave in different ways based on different time periods and participants. For example, institutional investors tend to make long-term investments quarterly. GTA analysis reports on quarterly, monthly, weekly, and daily trends. The following chart shows ES futures contract prices are below Monthly and Weekly Trends. The model notes a one period or two-period move as below trend.  When ES future prices make three consecutive period moves, a trend is indicated for that timeframe.\n\nSource: Brett Freeze, Global Technical Analysis – 10/15/21\nNote: PQH = Previous Quarter High, PQL = Previous Quarter Low, PMH = Previous Month High, PML = Previous Month Low, PWH = Previous Weekly High, PML = Previous Weekly Low, PDH = Previous Daily High, PDL = Previous Daily Low\nRealized Volatility Is Relatively Low, Yet Implied Volatility Is Rising\nRealized volatility is the change in price between the daily closes of a stock, ETF, or financial instrument.  The following chart from Lance Roberts and CNBC shows how price changes in the S&P 500 have been above average but are still within a 2% daily range since the March 2020 SPX lows.\n\nSource: Real Investment Advice – 10/6/21\nRealized volatility shows how market participants are actually driving market price swings by direct trading.  The limited movement of realized volatility obscures the impact of implied volatility of markets.\nImplied Volatility\nImplied volatility is the range of prices based on speculation of where a price may be for underlying security or index at a specific date. Overall implied volatility has been climbing the past few years.  The Volatility Index (VIX) is an indicator of implied volatility. The Chicago Board Options Exchange developed the VIX as a real-time index representing market expectations for the relative strength of near-term price changes of the S&P 500 index (SPX). It is calculated based on the ratio of puts (an option to sell underlying security) to calls (an option to buy underlying security) for near-term (30 days or less) options contracts.\nVIX – Bullish or Bearish?\nThe lower the VIX index and the more calls to puts is considered bullish.  Conversely, the more puts to calls driving and higher VIX is deemed to be bearish.  The VIX uses put and call options set at specific strike price levels that traders speculate the SPX maybe, not the actual SPX index value. The VIX is one gauge of market sentiment on the direction of prices for the SPX.  Over the past several years, the baseline VIX has been climbing as the SPX has rallied.  Higher lows indicate growing anxiety about high valuations.  The following monthly chart shows the VIX levels since 2014 with higher lows (red arrow) as it spikes at market lows like March 2020.\n\nSource: Patrick Hill – 10/16/21\nThe VIX reached a low of 9.51 in 2017 and today stands at 16.30 on October 15th as a rally continues.  The VIX reached a high of 53.54 at the SPX March 2020 decline. It would seem with higher lows that a higher spike is possible. Daily options market volume as of September is higher than the volume of underlying stocks. This means thatspeculation on where the SPX level will be is overtaking market flows.\nOptions Levels Point to A Volatility Storm Zone – Below 4400\nOptions analysts note last week’s bounce in S&P 500 Index is likely due to traders selling put options at monthly expiration, which crushed implied volatility.  The VIX indicator fell to 16.80 from 20. Dealers began setting up ‘short volatility positions and buying calls supporting the rise in market prices. SPX levels of open interest in puts and calls identify where there may be support or resistance to prices.\nThe following chart shows a gamma pivot point at 4400.  Gamma is the rate of change of the delta or sensitivity of the option price to a $1 change in the underlying stock price.  It measures the rate at which dealers must adjust their hedged positions. Positive gamma is above 4400, where there are more calls than puts and traders are net-long options.  As a stock price goes up, the dealer sells the stock and buys it as it goes down.  Dealers dampen price changes in a positive gamma environment.\nConversely, when a dealer is net short options, they must hedge by selling the stock as it goes down and buying the stock as price rises triggering increased volatility.  Today, 4400 is the pivot point between positive and negative gamma. Below 4300, we added a Volatility Zone where a volatility storm may build. The chart shows total open interest with puts below the zero line and calls above, with current expiration darkly shaded.\n\nSources: SpotGamma.com and Patrick Hill – 10/15/21\nWatch out Below 4400\nBrent Kochuba, a co-founder of SpotGamma, notes likely increased volatility below 4400,\n\n” We currently see fairly light put positions below 4400. This implies that traders may need to purchase put options on a break of 4400, which could in turn force options dealers to short futures. This could lead to dealers shorting into a down market, which increases volatility.”\n\nWe have located where the volatility storm may develop. But, what factors might trigger a storm?\nFactors Triggering a Volatility Storm\nThe critical triggering events will be Federal Reserve tapering and interest rate increases planned for 2022.  The financial markets depend on high levels of liquidity, so any reduction in liquidity could act as a catalyst for a volatility storm.  Other factors that may magnify a liquidity crunch include:\n\nThe debt ceiling not being raised in December\nOptions hedgers overreach and can’t cover margin positions, triggering forced selling\nInflation roaring further ahead beyond the Fed’s ability to control it, so the market loses confidence in the Fed\nThe Fed raises interest rates higher and faster than the market expects\nConsumers quit spending, causing retail sales to drop, corporations sales fall, and stock buybacks end that were sustaining high market valuations\nThe economy goes into a recession as GDP drops, employment falls, and corporate valuations fall\nAny black swan event like the pandemic\n\nAny volatility storm as markets decline is likely to force analysts to shift from valuing stocks based on market speculation to actual GAAP earnings (not stock buyback inflated EPS), fundamentals, and related unused valuation tools.  The TINA – ‘there is no alternative’ trading phenomenon would be over.  Investors will need to be mindful of the extreme volatility posed by a volatility storm. Accordingly, wild rallies and steep falls will require portfolio managers to sharpen their hedging and volatility strategies to maintain portfolio value.","news_type":1,"symbols_score_info":{".SPX":0.9,"SPY":0.9,".DJI":0.9,".IXIC":0.9}},"isVote":1,"tweetType":1,"viewCount":352,"commentLimit":10,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"symbols":[],"verified":2,"subType":0,"readableState":1,"langContent":"CN","currentLanguage":"CN","warmUpFlag":false,"orderFlag":false,"shareable":true,"causeOfNotShareable":"","featuresForAnalytics":[],"commentAndTweetFlag":false,"andRepostAutoSelectedFlag":false,"upFlag":false,"length":7,"xxTargetLangEnum":"ZH_CN"},"commentList":[],"isCommentEnd":true,"isTiger":false,"isWeiXinMini":false,"url":"/m/post/853591894"}